FORM Options History — April 2009

In April 2009, FORM traded between $17.20 and $20.10. ATM implied volatility averaged 57.2%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded below realized volatility by 0.7% (HV 20d: 57.9%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.15.

Notable Days

  • 2009-04-09: Highest Volume — 2,353 contracts
  • 2009-04-09: Largest IV spike — 11.8% change
  • 2009-04-29: Highest IV Rank — 32.5%
  • 2009-04-07: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.98$17.20$20.10$18.02$17.43
Max Pain$17.26$15.00$17.50$15.00$17.50
ATM IV57.2%50.6%60.9%54.6%55.6%
Expected Move16.9%15.2%18.2%15.7%15.9%
HV 20d57.9%50.0%72.2%59.0%72.2%
HV 60d57.6%54.4%61.8%58.3%61.8%
IV Rank27.6%19.1%32.5%24.3%25.6%
IV Percentile44.2%16.3%59.1%32.1%38.9%
Term Structure-3.6%-8.1%9.3%8.4%-2.2%
VWIV58.1%49.2%63.8%54.1%49.2%
Skew 25d8.9%6.7%11.0%11.0%6.9%
Skew 10d21.1%9.7%33.3%26.6%9.7%
Call IV 25d55.5%45.3%59.9%49.6%54.9%
Put IV 25d64.4%53.7%69.6%60.6%61.8%
Bid-Ask Spread %22.2212.1929.7417.6520.70
Gamma HHI0.320.270.450.420.29
Net GEX123.9K97.7K201.4K97.7K123.4K
Net DEX-11.3M-15.9M-6.4M-9.9M-6.4M
Net VEX-47.7K-56.7K-43.6K-48.7K-43.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.0010.470.041.39
Total Volume507.524182,3531401,217
Total OI16,350.57113,06621,19817,72213,883

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-04-01$18.02$15.0054.6%15.7%59.0%24.3%54.1%11.0%8.4%97.7K-9.9M-48.7K0.0417.65N/AN/A135511,0916,631
2009-04-02$18.73$15.0053.0%15.2%56.0%22.3%51.8%8.4%9.3%102.4K-11.4M-48.5K0.1719.17N/AN/A1242111,1836,632
2009-04-03$18.70$17.5053.6%17.6%55.4%23.0%0.0%9.5%-3.7%99.2K-11.4M-48.3K0.2025.24N/AN/A501011,2116,642
2009-04-06$18.05$17.5053.7%18.0%55.1%23.1%57.9%10.5%-4.2%104.7K-10.1M-47.5K0.0029.06N/AN/A18011,1786,632
2009-04-07$17.20$17.5053.1%18.2%56.2%22.4%63.3%9.7%-3.8%111.5K-8.5M-47.0K0.3321.48N/AN/A1,66454211,1946,632
2009-04-08$17.92$17.5050.6%18.2%57.3%19.1%0.0%11.0%-5.2%130.5K-11.3M-51.6K0.4121.47N/AN/A512112,5356,653
2009-04-09$19.43$17.5056.6%16.2%60.8%26.8%57.1%8.7%-2.7%109.3K-13.6M-49.4K0.0727.91N/AN/A2,19715611,9256,665
2009-04-13$19.10$17.5058.8%16.9%61.4%29.7%57.1%9.8%-3.8%119.6K-13.4M-50.9K0.1020.99N/AN/A961012,4846,810
2009-04-14$19.43$17.5060.0%17.2%60.1%31.2%60.2%10.0%-6.7%125.3K-14.2M-50.6K0.0221.11N/AN/A2,1064612,5376,804
2009-04-15$19.14$17.5059.7%17.1%58.9%30.9%59.9%8.6%-6.0%171.7K-15.9M-56.7K10.4712.19N/AN/A3233514,3966,802
2009-04-16$19.69$17.5058.1%16.7%59.2%28.8%55.8%7.9%-4.6%142.7K-14.5M-47.4K0.2523.59N/AN/A812012,2396,474
2009-04-17$19.84$17.5057.4%16.5%59.0%27.9%61.9%7.7%-4.4%201.4K-14.8M-46.6K0.2029.74N/AN/A561112,3156,486
2009-04-20$19.05$17.5060.6%17.4%60.4%32.1%60.2%8.0%-5.7%116.0K-9.6M-46.5K0.4023.04N/AN/A43179,8843,182
2009-04-21$18.85$17.5059.9%17.2%59.7%31.1%0.0%9.7%-5.7%118.8K-9.2M-46.4K0.0021.76N/AN/A0399,9153,198
2009-04-22$19.26$17.5058.6%16.8%60.0%29.4%58.9%8.2%-4.7%118.5K-9.9M-46.5K0.0523.53N/AN/A3729,9153,237
2009-04-23$19.61$17.5058.1%16.7%59.9%28.8%58.1%8.0%-4.7%118.8K-10.4M-46.0K0.5625.26N/AN/A88499,9033,239
2009-04-24$20.10$17.5057.2%16.4%50.0%27.7%55.0%6.9%-4.4%120.6K-11.3M-44.7K0.2614.85N/AN/A38109,8943,231
2009-04-27$19.34$17.5060.5%17.3%52.1%31.9%60.7%9.4%-6.7%121.4K-10.0M-45.1K5.6225.33N/AN/A583269,9273,241
2009-04-28$19.70$17.5060.1%17.2%51.9%31.3%59.8%9.4%-6.1%122.1K-10.6M-44.4K1.0724.15N/AN/A1351449,9233,233
2009-04-29$20.02$17.5060.9%17.5%51.1%32.5%63.8%6.7%-8.1%125.4K-11.2M-44.3K1.3418.51N/AN/A28638210,0583,348
2009-04-30$17.43$17.5055.6%15.9%72.2%25.6%49.2%6.9%-2.2%123.4K-6.4M-43.6K1.3920.70N/AN/A51070710,2433,640